Put the milk in a saucepan. Scrape the pulp from the vanilla bean, add it and the pod to the milk, and bring to a boil over medium heat. Stir occasionally to keep the milk from burning on the bottom. When it boils, turn off the heat, cover the pot, and let steep 15 minutes. Whisk the egg yolks with the sugar until the sugar is dissolved.

Set next to the stove a bowl into which you can strain the custard, a strainer, and a larger bowl of ice water into which you can set the bowl of custard sauce.

Reheat the milk over medium heat. When it returns to the boil, stir half the hot milk, little by little, into the yolk mixture; then, stirring constantly over medium heat, pour the egg mixture into the milk and cook and stir until the mixture is just beginning to thicken enough to coat the spoon. Remove from the heat and continue to stir for a minute or 2; then strain the mixture into a bowl and set it immediately in the ice water bath. Stir in the Grand Marnier. Let the sauce cool and refrigerate it, covered.